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Journal of Industrial & Management Optimization

April 2006 , Volume 2 , Issue 2

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Preface
Heung Wong, Hailiang Yang and Xian Zhou
2006, 2(2): i-i doi: 10.3934/jimo.2006.2.2i +[Abstract](787) +[PDF](28.2KB)
Remarks on some short rate term structure models
Jiongmin Yong
2006, 2(2): 119-134 doi: 10.3934/jimo.2006.2.119 +[Abstract](883) +[PDF](244.8KB)
Optimal execution strategy of liquidation
Ka Wo Lau and Yue Kuen Kwok
2006, 2(2): 135-144 doi: 10.3934/jimo.2006.2.135 +[Abstract](689) +[PDF](195.8KB)
Estimating value-at-risk for chinese stock market by switching regime ARCH model
W.C. Ip, H. Wong, Jiazhu Pan and Keke Yuan
2006, 2(2): 145-163 doi: 10.3934/jimo.2006.2.145 +[Abstract](830) +[PDF](368.3KB)
Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate
Lin Xu and Rongming Wang
2006, 2(2): 165-175 doi: 10.3934/jimo.2006.2.165 +[Abstract](1010) +[PDF](204.6KB)
Option pricing under threshold autoregressive models by threshold Esscher transform
Tak Kuen Siu, Howell Tong and Hailiang Yang
2006, 2(2): 177-197 doi: 10.3934/jimo.2006.2.177 +[Abstract](899) +[PDF](234.7KB)
LIBOR market model with stochastic volatility
Lixin Wu and Fan Zhang
2006, 2(2): 199-227 doi: 10.3934/jimo.2006.2.199 +[Abstract](1023) +[PDF](436.5KB)
Ruin probability for renewal risk model with negative risk sums
Yinghui Dong and Guojing Wang
2006, 2(2): 229-236 doi: 10.3934/jimo.2006.2.229 +[Abstract](1003) +[PDF](198.7KB)

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